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2008 Aug 12
1
fPortfolio constraints, maxsumW
...R version 2.6.1 under Gentoo Linux and using the fPortfolio
package, I am having trouble specifying a sector constraint. One of the
constraints to be imposed is that assets 1 and 2 together account for no
more than 13.63% of the portfolio. My attempt at coding that
constraint, "maxsumW[1:2Assets]=13.63" fails. The relevant section of
my code file and the resulting error message are pasted below.
Suggestions about how to correct my coding would be most welcome.
*************Code beings here************************
Data = as.timeSeries(Jdata)
Spec = portfolioSpec()
setNFrontierPoin...